Fox and Obel is the best(and most expensive) pick...but, for future refeence you'll find prosciutto of varying quality in most major supermarkets including(from personal experience): Treasure Island, Trader Joe's, Whole Foods, Jewel, and Potash Bros. Most of the aforementioned have locations near the Loop.

If you drive to Fox and Obel (which I love, BTW), they have free valet parking in front of the store. They also validate for free self-parking with purchase (up to 90 minutes) if you park in the garage for the AMC movie theaters which are on the block kitty-corner to the northwest from F&O (you can enter from either Grand or Illinois).